Giulio Miglietta

University of Padova - Department of Mathematics

PhD Student

Italy

  • University of Padova - Department of Mathematics

SCHOLARLY PAPERS

1

DOWNLOADS

328

TOTAL CITATIONS

8

Scholarly Papers (1)

Actions:
Email selected abstracts
1.

A Flexible Spot Multiple-Curve Model

Number of pages: 24 Posted: 13 Apr 2014
Martino Grasselli and Giulio Miglietta
University of Padova - Department of Mathematics and University of Padova - Department of Mathematics
Downloads 328 (188,432)
Citation 8

Abstract:

Loading...

Short rate models, Multiple-curve interest rate model, LIBOR-OIS spread, Analytical tractability, Calibration to market data, Affine specifi cation